FED Hisse Senedi Değerleme Modelini Etkileyen İşletme İçi ve İşletme Dışı Faktörlerin Analizi: Borsa İstanbul’da Bir Uygulama

Abstract

FED modeli; gösterge devlet tahvil faizleri ve kazanç/fiyat oranları arasında bir ilişki kurarak hisse senetlerinin gerçeğe uygun değerini hesaplamayı sağlayan modern bir hisse senedi değerleme yöntemidir. FED modeline göre; kazanç/fiyat oranları 10 yıl vadeli devlet tahvil faizinden düşükse hisse senedi gerçeğe uygun değeri üzerinde aşırı değerli fiyatlanmıştır. Tersi durumda ise hisse senedi gerçeğe uygun değerinin altında fiyatlanmıştır. Eğer bu yargıyı fiyat/kazanç oranı üzerinden okursak; fiyat kazanç oranı tahvil faizlerinden yüksek ise aşırı değerlenme, altında ise düşük değerlenme söz konusudur. Bu araştırmanın amacı; Türkiye için FED modelinin geçerliliğini araştırarak FED modelinin ima ettiği gerçeğe uygun değerden sapma gösteren düşük ve aşırı fiyatlamaları etkileyen işletme içi ve işletme dışı faktörleri analiz etmektir. Literatür araştırması neticesinde çeyreklik frekansta 2021Q3-2023Q4 arasında 16 Mart itibariyle piyasa değeri en yüksek 5 BIST (Borsa İstanbul) şirketi analiz için seçilmiştir. Araştırmada en başarılı modeller yapay sinir ağı modelleri, değişkenlerin etkileri panel robust regresyon ve FED modelinin Türkiye için geçerliliği Johansen eş bütünleşme testi yardımıyla değerlendirilmiştir. Eş bütünleşme sonuçlarına göre FED modeli BIST-100 için geçerlidir. Bu sonuçlar, FED modelinin kısa ve uzun dönemde Türkiye için geçerli olduğuna işaret etmektedir. FED modeli Türkiye için uygulandığında yapay sinir ağı modeli hata metrikleri; ABD örneğinde olduğu gibi modelde 10 yıl vadeli devlet tahvil faizleri kullanımının, 2 yıl vadeli devlet tahvil faizlerinin kullanımına göre daha anlamlı sonuçlar verdiğine işaret etmektedir. Bir diğer yönden FED modelinde gerçeğe uygun değerden sapmaları açıklayan faktörlerden işletme dışı faktörlerin sonuçları daha anlamlıdır. İşletme içi faktörler işletme dışı faktörlerle birlikte modellendiğinde daha anlamlı sonuçlar vermektedir. Araştırmanın literatüre katkıları, FED modelinin Türkiye için geçerli olduğunu ispatlaması, işletme düzeyinde FED modelini analiz etmesi ve farklı vade yapışlarından gösterge devlet tahvil faizlerini de FED modeli kapsamında incelemesi olarak sıralanabilir.

Keywords

• FED Modeli
• Hisse Senedi Değerleme
• Devlet Tahvil Getirileri

Analysis of Internal and External Factors of the Business Affecting the FED Stock Valuation Model : An Application in Borsa Istanbul

Abstract

The FED model is a modern equity valuation method that calculates the fair value of equities by establishing a relationship between benchmark government bond yields and earnings/price ratios. According to the FED model, the stock is overvalued above its fair value if earnings/price ratios are lower than the 10-year government bond yield. Conversely, the stock is priced below its fair value. If we interpret this judgment in terms of the price/earnings ratio, there is overvaluation if the price/earnings ratio is higher than bond yields. If it is lower, there is undervaluation. This study aims to investigate the validity of the FED model for Turkey and to analyze the internal and external factors affecting under and overpricing that deviate from the fair value implied by the FED model. As a result of the literature review, the 5 BIST (Borsa Istanbul) companies with the highest market capitalization as of March 16 between 2021Q3-2023Q4 at quarterly frequency were selected for analysis. The most successful models in the research are artificial neural network models; the effects of variables are evaluated by robust panel regression, and the validity of the FED model for Turkey is assessed with the help of the Johansen co-integration test. According to the co-integration results, the FED model is valid for BIST-100. These results indicate that the FED model is valid for Turkey in the short and long run. When the FED model is applied to Turkey, the artificial neural network model error metrics indicate that the use of 10-year government bond rates in the model yields more significant results than the use of 2-year government bond rates, as in the US case. On the other hand, among the factors explaining the deviations from fair value in the FED model, the results of external factors are more significant. When modeled with external factors, internal factors yield more significant results. The contributions of the research to the literature can be listed as proving that the FED model is valid for Turkey, analyzing the FED model at the enterprise level, and analyzing benchmark government bond yields of different maturities within the scope of the FED model.

Keywords

• FED Model
• Stock Valuation
• Government Bond Yields

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